Assistant Professor (Senior Lecturer in Australia)
Department of Finance, Faculty of Business & Economics
The University of Melbourne
Market Microstructure; Asset Pricing Theory; Network Economics
1. “Reducing Opacity in Over-the-Counter Markets,” Journal of Financial Markets, 2016, 27: 1-27.
(Theory) A competitive centralized market incentivizes dealers in OTC markets to reduce opacity, whereas a non-competitive centralized market does the opposite.
(Theory) Dealers balance their risk-sharing benefits with collateral costs from trading to endogenously determine the inter-dealer trading network in OTC markets.
(Empirical) In a one-tick spread environment, a larger relative tick size results in greater depth and more volume; in a multi-tick environment, the opposite outcome prevails.
(Empirical) Bonds that are able to trade on the NYSE (where pre-trade information is available) have smaller transaction costs than those cannot.
Work in Progress